ModifiedMaStop

A trailing stop riding the Modified Moving Average (SMMA / Wilder's RMA), ratcheted so it only moves in the trend's favour and flips on a decisive cross.

Quick reference

Field	Value
Family	Trailing Stops
Input type	Candle (close)
Output type	ModifiedMaStopOutput { value, direction }
Output range	value in price units; direction ∈
Default parameters	(period = 14) (Python)
Warmup period	period
Interpretation	direction > 0 long (stop below price); flip = exit/reverse.

Formula

ma = SMMA(close, period)                 (Modified Moving Average)
long:  stop = max(prev_stop, ma);  flip short when close < stop
short: stop = min(prev_stop, ma);  flip long  when close > stop

The Modified Moving Average — the smoothed/running average Wilder used (identical to RMA) — is slow and low-lag. Using it as the stop line, but ratcheting so the long stop never falls and the short stop never rises, gives a stop that trails price through a trend and reverses when price decisively crosses it. Source: crates/wickra-core/src/indicators/modified_ma_stop.rs.

Parameters

Name	Type	Default	Valid range	Source	Description
period	usize	14 (Python)	>= 1	modified_ma_stop.rs:64	SMMA window. 0 errors with Error::PeriodZero.

The period getter returns the window; value returns the current output if ready.

Inputs / Outputs

From crates/wickra-core/src/indicators/modified_ma_stop.rs:

use wickra::{Candle, Indicator, ModifiedMaStop, ModifiedMaStopOutput};
// ModifiedMaStop: Input = Candle, Output = ModifiedMaStopOutput
const _: fn(&mut ModifiedMaStop, Candle) -> Option<ModifiedMaStopOutput> =
    <ModifiedMaStop as Indicator>::update;

A Candle in, an Option<ModifiedMaStopOutput> out. The Python binding returns a (value, direction) tuple from update and an (n, 2) array from batch(close); Node returns { value, direction } and a flat Float64Array of length n*2; WASM mirrors the object with camelCase keys.

Warmup

warmup_period() == period. The first stop lands once the SMMA has seeded (first_emission_at_warmup_period pins this).

Edge cases

• Uptrend → stop below price. A clean advance stays long with the stop under price (uptrend_keeps_stop_below_price pins this).
• Ratchet. The long stop never falls (long_stop_ratchets_up pins this).
• Reversal. A sustained decline flips the direction to short (flips_on_reversal pins this).
• Finiteness. Candle::new rejects non-finite fields, so no in-method guard is needed.
• Reset. m.reset() clears the SMMA, the trend state and the last value (reset_clears_state).

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, ModifiedMaStop};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut m = ModifiedMaStop::new(5)?;
    let candles: Vec<Candle> = (0..60)
        .map(|i| {
            let base = 100.0 + 2.0 * f64::from(i);
            Candle::new(base, base + 1.0, base - 1.0, base, 1_000.0, 0).unwrap()
        })
        .collect();
    let last = m.batch(&candles).last().unwrap().unwrap();
    println!("direction = {}", last.direction);
    Ok(())
}

Output:

direction = 1

Python

import numpy as np
import wickra as ta

m = ta.ModifiedMaStop(14)
close = np.arange(60, dtype=float) + 100.0
value, direction = m.batch(close).T
print(value[-1], direction[-1])

Node

const ta = require('wickra');

const m = new ta.ModifiedMaStop(14);
console.log('warmupPeriod:', m.warmupPeriod()); // 14

Streaming

use wickra::{Candle, Indicator, ModifiedMaStop};

let mut m = ModifiedMaStop::new(14).unwrap();
let mut last = None;
for i in 0..60 {
    let base = 100.0 + f64::from(i);
    let c = Candle::new(base, base + 1.0, base - 1.0, base + 0.5, 1_000.0, 0).unwrap();
    last = m.update(c);
}
println!("{last:?}");

Streaming update and batch are equivalent tick-for-tick (batch_equals_streaming pins this).

Interpretation

1. Trend-following exit. Hold while direction is unchanged; exit/reverse on a flip.
2. Lag as a feature. The SMMA's lag keeps the stop from being clipped by shallow pullbacks — looser than a fast-MA stop, tighter than a wide ATR band.
3. Period choice. Shorter period reacts faster (more flips); longer gives trends more room.

Common pitfalls

• Not a raw MA cross. The ratchet means the stop can sit away from the current SMMA after the average turns against the trend; that is intentional.
• Lag on reversals. Because the SMMA is slow, the flip can give back more than a volatility stop near sharp tops/bottoms.
• Close-based. Flips trigger on closes, not intrabar spikes.

References

The Modified (smoothed) Moving Average originates with Wilder, J. W. (1978), New Concepts in Technical Trading Systems; using it as a ratcheted trailing stop is a common derivation.

See also

• Indicator-Smma — the Modified Moving Average itself.
• Indicator-HiLoActivator — Gann HiLo MA-based stop.
• Indicator-SuperTrend — ATR-banded flipping stop.
• Indicators-Overview — the full taxonomy.